Faber’s Market Timing paper 1

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Using the quantmod and TTR libraries in R. Graph of S&P 500 index from 1973 to present, with equity curve of simple 10-week SMA timing system on the S&P 500, used in Mebane Faber’s paper. Faber’s method for “tactical asset allocation” has produced great risk-adjusted returns for the past 40 years (backtested), which brings up some questions: is it robust? how can it be improved? I have several ideas for this… but first I want to see if I can replicate Faber’s original system in R.

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